Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0437
Annualized Std Dev 0.2069
Annualized Sharpe (Rf=0%) 0.2113

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1189
Quartile 1 -0.0045
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0056
Maximum 0.1137
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0130
Skewness -0.3733
Kurtosis 13.3485

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0095
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.6511
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0325
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0295
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2013-04-30 -0.6511 1488 445 1043
2020-01-17 2020-03-23 2021-03-15 -0.4134 291 45 246
2018-01-29 2018-12-24 2020-01-14 -0.2117 494 229 265
2014-12-30 2016-01-20 2016-07-08 -0.1726 384 266 118
2013-05-22 2013-06-24 2013-07-15 -0.0612 37 23 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.8 -0.5 0.2 -0.4 -0.2 -0.1 -0.3 -0.6
2007 0.6 -0.2 -0.2 0.3 0.3 -0.2 1.1 0.8 1.8 -2.5 1.3 -0.3 2.7
2008 2.4 -2.8 4.3 2.6 -0.5 0.6 -0.3 -0.8 0.8 1.6 -10.1 2.4 -0.5
2009 -3.2 -2.8 1.8 0.4 3.5 0.9 -0.3 -1.5 -1.8 -2.1 1.6 -1.1 -4.8
2010 0.9 1 0.7 -1.1 -1.6 -0.3 0 2.5 0.3 -0.3 2.1 -0.1 4.2
2011 1.3 -1.2 0.3 0.2 -1.8 1.4 -0.3 -0.9 -1.5 -2.2 -0.2 -0.2 -5.1
2012 1 0.4 0.4 0.2 -2 2.2 0.1 0.2 0 0.8 0.3 1.6 5.3
2013 0.8 0.2 -0.5 -1 -1.3 0.4 1.3 -0.3 0.5 0.4 -0.2 0.2 0.5
2014 -0.2 0.5 0.2 -0.1 0.3 0.2 -0.1 0.4 -1 0.7 0 -1 -0.1
2015 -1.3 -0.1 -0.4 0.8 -0.3 0.5 0 -2.8 -0.4 0.3 0.9 -0.7 -3.4
2016 0.6 1.4 0.2 -0.5 0 0.2 -0.8 0 0.8 -1.1 -0.4 -0.4 0
2017 -0.5 0.8 0 -0.3 1.1 0.3 -0.1 0.6 -0.1 0.1 -0.3 -0.4 1.2
2018 -0.4 -0.7 1.2 -0.5 0.4 0.1 -0.9 -0.2 0.5 0.9 0.6 0.5 1.6
2019 0 0.8 1.1 -0.9 -1.1 0.7 -0.8 0.5 -1.4 1.6 -0.5 0.5 0.4
2020 -1.5 -1.7 -4.8 -3.8 0.6 0.1 -0.5 0 -0.4 -0.4 0.8 0.6 -10.8
2021 0.8 1.4 0 NA NA NA NA NA NA NA NA NA 2.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart